Bloomberg and Goldman Sachs Asset Management (GSAM) have launched of a new suite of 21 alternative risk premia benchmark indices.

The new indices cover standard macro risk premia factors (value, carry, trend) in liquid asset classes (FX forwards, bond futures, equity futures, commodity futures), and cash equities based “micro” equity factors (value, low risk, quality and momentum).

‘We’ve seen more use of alternative risk premia strategies in investment portfolios, but investors are struggling with benchmarking performance,’ said Dave Gedeon (pictured), global head of equity and strategy indices at Bloomberg. ‘Developing and managing cross-asset strategy indices – enables us to provide investors with the tools for benchmarking risk premia strategies and creating new financial products.’

The new range of indices has been designed as a robust alternative for index-linked products and performance benchmarking and responds to investors’ increasing search for alternative sources of returns.

‘By being transparent and replicable, these indices can be used both to understand performance as well as to provide low-cost beta to the asset class,’ said Matthew Schwab (right), managing director and co-head of research, portfolio management and portfolio construction for the Alternative Investment Strategies (AIS) team within GSAM’s Quantitative Investment Strategies group.

Bloomberg is responsible for calculation, governance and licensing of these indices.

Members Exchange goes live

Members Exchange (MEMX), a market operator founded by a consortium of financial services providers, has started trading on its US equity market.

In ‘Phase One of Rollout Schedule,’ MEMX will initially offer live trading in seven symbols before progressing to Phase Two of its rollout, in which it will trade all National Market System (NMS) listings.

The initial seven securities are Acasti Pharma Inc. (ACST), Alphabet Inc. (GOOG), BlackBerry Ltd. (BB), Consolidated Edison Inc. (ED), Exxon Mobil Corporation (XOM), Ford Motor Co. 6.20% Notes Due June 1, 2059 (F-B), and the iShares Ultra Short-Term Bond ETF (ICSH).

The company was founded in January 2019. The US Securities and Exchange Commission approved its exchange application in May 2020.

MEMX founders include Bank of America Merrill Lynch, Charles Schwab, Citadel Securities, E*Trade, Fidelity Investments, Morgan Stanley, TD Ameritrade, UBS and Virtu Financial. Goldman Sachs Group, JPMorgan Chase & Co, and Jane Street Capital are also backing the New York-based consortium.

There are 13 stock exchanges currently operating in the US. The Silicon Valley-based Long Term Stock Exchange has received regulatory approval for a future launch, while MIAX Pearl has said it is gearing up to offer stock trading alongside its current options trading operations.

Six targets front-office with new tax service

Six Swiss Exchange has launched Six Tax Score, a new service designed to analyse the tax consequences of financial products.

The new service is available to banks, wealth managers and asset managers in the form of a benchmark covering Swiss, UK and French tax jurisdictions.

The new data offering currently covers tax-related charges on dividend and interest income, fund distributions and capital gains for equities, bonds, funds and structured products for individual investors under Swiss, UK and French tax jurisdictions.

The exchange is also working on expanding the scope of the new service to include other tax jurisdictions.

The move marks the entry of the Swiss exchange into the front-office of wealth management as it expands beyond its primarily back-office focused corporate actions, reference and compliance data offering. 

Six Tax Score calculates a daily tax cost ratio for the asset in question by assessing the financial data of individual securities and complex financial products.

According to Marion Leslie (right-above), head financial information, the primary advantage of the offering is the provision of a tax efficiency score in the form of a comparable mathematical value on an individual security level.

‘The product also supports further workflow automation of wealth managers and asset managers,’ said Leslie. ‘The provision of the tax data on the financial instrument level helps clients meet cost transparency disclosure requirements while providing a framework for recommending more tax-efficient investment alternatives.’

ESAs release survey on ESG financial product templates

The European Supervisory Authorities (EBA, Eiopa and Esma - ESAs) have launched a survey seeking public feedback on presentational aspects of product templates on sustainability‐related disclosures in the financial services (SFDR). The survey is open for comments until 16 October 2020.

The ESAs propose to standardise the disclosure of information for financial products that promote environmental and/or social characteristics or have a sustainable objective.

The use of such mandatory templates is aimed at improving comparability of different financial products in different EU Member States and are intended to be included in existing disclosures provided by Alternative investment fund managers (AIFMs), Undertakings for Collective Investment in Transferable Securities (Ucits), insurance undertakings, Institutions for Occupational Retirement Provision (IORPs) or providers of pan-European Personal Pensions Products (PEPPs).

The use of mandatory templates for the disclosure of ESG policies at the point of sale are not applicable to structured products and the items to be disclosed are not meant to be in the Priips Kid.

The final content of the templates is subject to the outcome of a concurrent consumer testing exercise and the ESAs’ final report on the draft RTS under SFDR.

Nadex expands offering with new binary option knock outs and call spreads

US online binary options and spreads exchange Nadex has expanded its offering with eight new knock-outs and 10 call spreads, giving traders a new way to speculate on volatility in underlying forex and commodity markets.

Knock-outs, called by the firm Touch Bracket contracts, were introduced by Nadex parent IG Group. In this type of derivatives, the trades outcome is based on the number of pips the assets price moves before the position is closed.

Touch Bracket contracts are structured to provide a simple entry point to the most popular markets, with a built-in exit strategy on each trade, according to Adam McAden (right), platform and product specialist at Nadex.

The eight new knockouts based on forex pairs (AUD/USD, USD/CAD, EUR/GBP, AUD/JPY, GBP/JPY, EUR/JPY) and commodities (Natural gas, silver)

Unlike traditional spread-bets, the new knock outs have extended expiry length, and can be opened or closed at any time - it involves automatic trigger points as contracts will automatically close if the underlying market price reaches the upper or lower knock-out level.

The firm has also introduced new call spreads with weekly durations ten forex pairs (AUD/USD, AUD/JPY, EUR/USD, GBP/USD, USD/JPY, USD/CHF, USD/CAD, EUR/GBP, GBP/JPY, EUR/JPY).

Nadex offers binary options and spreads stock indices, forex, commodities, ‎economic events and bitcoin. The firm is regulated by the CFTC as a designated ‎contract market and derivatives clearing organisation.